The BofA Merrill LynchEmerging Markets Corporate Plus Index tracks the performance of US dollar (USD) and Euro denominated emerging markets non-sovereign debt publicly issued within the major domestic and Eurobond markets. To qualify for inclusion in the index, the issuer of debt must have risk exposure to countries other than members of the FX G10 (US, Japan, New Zealand, Australia, Canada, Sweden, UK, Switzerland, Norway, and Euro Currency Members), all Western European countries, and territories of the US and Western European countries. Each security must also be denominated in USD or Euro with a time to maturity greater than 1 year and have a fixed coupon. For inclusion in the index, investment grade rated bonds of qualifying issuers must have at least 250 million (Euro or USD) in outstanding face value, and below investment grade rated bonds must have at least 100 million (Euro or USD) in outstanding face value. The index includes corporate and quasi-government debt of qualifying countries, but excludes sovereign and supranational debt. Other types of securities acceptable for inclusion in this index are: original issue zero coupon bonds, “global” securities (debt issued in the US domestic bond markets as well the Eurobond Market simultaneously), 144a securities, pay-in-kind securities (includes toggle notes), callable perpetual securities (qualify if they are at least one year from the first call date), fixed-to-floating rate securities (qualify if the securities are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transitions from a fixed to a floating rate security). Defaulted securities are excluded from the Index.
BofA Merrill Lynch Explains the Construction Methodology of this series as:
Index constituents are capitalization-weighted based on their current amount outstanding. With the exception of US mortgage pass-throughs and US structured products (ABS, CMBS and CMOs), accrued interest is calculated assuming next-day settlement. Accrued interest for US mortgage pass-through and US structured products is calculated assuming same-day settlement. Cash flows from bond payments that are received during the month are retained in the index until
the end of the month and then are removed as part of the rebalancing. Cash does not earn any reinvestment income while it is held in the Index. The Index is rebalanced on the last calendar day of the month, based on information available up to and including the third business day before the last business day of the month. Issues that meet the qualifying criteria are included in the Index for the following month. Issues that no longer meet the criteria during the course of the month remain in the Index until the next month-end rebalancing at which point they are removed from the Index.

When the last calendar day of the month takes place on the weekend, weekend observations will occur as a result of month ending accrued interest adjustments.

Source BofA Merrill Lynch, used with permission. BOFA MERRILL LYNCH IS LICENSING THE BOFA MERRILL LYNCH INDICES “AS IS,” MAKES NO WARRANTIES REGARDING THE SAME , DOES NOT GUARANTEE THE SUITABILITY, QUALITY, ACCURACY, TIMELINESS, AND/ OR COMPLETENESS OF THE BOFA MERRILL LYNCH INDICIES OR ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM, ASSUMES NO LIABILITY IN CONNECTION WITH THEIR USE, AND DOES NOT SPONSOR, ENDORSE, OR RECOMMEND, [FRBSL], OR ANY OF ITS PRODUCTS OR SERVICES.

Display integer periods instead of dates (e.g. ...,-1,0,1,...) with the value scaled to 100 at period 0.

Integer Period Range:

Start (Integer)

End (Integer)

copy to all

Create your own data transformation: [+]

Need help? [+]

Use a formula to modify and combine data series into a single line. For example, invert an exchange rate a by using formula 1/a, or calculate the spread between 2 interest rates a and b by using formula a - b.

Use the assigned data series variables above (e.g. a, b, ...) together with operators {+, -, *, /, ^}, braces {(,)}, and constants {e.g. 2, 1.5} to create your own formula {e.g. 1/a, a-b, (a+b)/2, (a/(a+b+c))*100}. The default formula 'a' displays only the first data series added to this line. You may also add data series to this line before entering a formula.

Formula:

Transformation:will be applied to formula result

U.S. Recession Peak:

or Trough:

or Observation Date:

Create segments for min, max, and average values: [+]

Do not include this series in calculations (default)

Include this series in calculations

Include this series in calculations but do not display

Data in this graph is copyrighted. Please review the copyright information in the series notes before sharing.

Share

Embed in websitewhy embed?

Link

Image

Data in this graph is copyrighted. Please review the copyright information in the series notes before sharing.